Last month I had the pleasure of participating in panel discussions at SIFMA, and at CITY#GRID. Naturally much of the conversation was on using High Performance Computing technology alongside Smart Order Routers to beef up the algo engines used for MiFID "Best Price Execution" across the EU pools of lit and dark liquidity. This is an important and complicated topic that requires a deep understanding of the market data speeds and network latency issues that must first be solved, otherwise the grid will simply go wasted as per Amdahl's law of parallelization efficiency. Which in short states that your speed up is directly related to how much work can be done in parallel. The issue with best price execution is that the data is changing at microsecond speeds. Having said that, we discussed the trend to integrate compute grids, data grids and messaging systems. Many now refer to these types of HPC systems as cloud computing infrastructures.
To view the slides that I presented during the topic entitled "Another Paradigm Shift: How SOA and Extreme Processing Technologies Can Open Up the Grid to More than Analytics & Risk" visit: http://events.sifma.org/2008/273/event.aspx?id=4566
Tuesday, January 6, 2009
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